I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation of feeds from a number of exchanges? Or just a couple of exchanges?
Assuming that the volume reported by Yahoo Finance is a subset of total volume traded, does anyone have an opinion as to whether or not the figure is representative of what actually trades in a particular day?

1 Answer
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Any share can be listed on any exchange. However Yahoo allows you to get the Price Data per exchange. So the Price Data (including volume) you download will be the volume that was traded on the exchange that you have specified to get the Data from. Not an accumulation of exchanges that the company may be listed on.
When you type a ticker in google, the exchange is listed after the company name. For example type BHP, an australian company. The exchanges they are listed on show below that, and you can request that data specific to the exchange you are interested in.
Hope that helps.

I wouldnt write it if I wasnt sure :). Case in point. Please go to yahoo and select BHP - ASX - Note the volume. Now go to BHP NYSE for the same day - Volume completely different. Its tracking volume per exchange you requested.
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user1191559Apr 18 '14 at 0:40

2

Those are two very different things. BHP traded at NYSE and ASX are two distinct instruments. They are ADRs of BHP Billiton, not BHP Billiton stock. Regardless, if you look at BHP in the US Equities market, the volume you see is aggregate volume across all US Equities exchanges. Of course it won't include foreign exchanges, that would be silly. Likewise, if you look at CSCO, SPY, GE, etc, you'll find the volume is also US equities consolidated volume which comes from Yahoo's historical data provider, CSI.
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Louis MarascioApr 18 '14 at 16:40

Hi Louis if you are so knowledgeable about this topic how come you haven't answered this mans question, and prefer to debate comments instead? I was basing my knowledge of Yahoo financial data based on how Yahoo collates data for the australian Market, - the volume exactly matches the volume that is put through the ASX - not pooling data from our other smaller exchanges. So if you have sufficient evidence thats its the contrary in USA, please put some evidence as such and answer this dudes question.
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user1191559Apr 19 '14 at 9:23

I don't know the answer for sure, which is why I asked if you were sure. It sounds like you aren't.
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Louis MarascioApr 19 '14 at 22:45